Dependence of stock and commodity futures markets in China: Implications for portfolio investment

作者：Hammoudeh, Shawkat; Duc Khuong Nguyen^*; Reboredo, Juan Carlos; Wen, Xiaoqian

来源：Emerging Markets Review, 2014, 21: 183-200.

DOI：10.1016/j.ememar.2014.09.002

• China
• Commodity futures
• Equity markets
• Co-movement
• Copulas
• Portfolio risk management

We examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China. We address this issue by using copula functions that allow for measuring both average and tail dependence. Our results provide evidence of low and positive correlations between these markets, suggesting that commodity futures are a desirable asset class for portfolio diversification. By comparing the market risks of alternative portfolio strategies, we show that Chinese investors can take advantage of commodity futures during different times to realize risk diversification and downside risk reduction benefits.

• 出版日期2014-12
• 单位西南交通大学